Preheat oven to 400°F. Melt half the butter and add flour, stirring with a wire whisk. Add milk and stir vigorously. When sauce has thickened, add salt, pepper and nutmeg.

Melt remaining butter in a saucepan and cook shallots briefly. Stir Cognac and tarragon into the shallots, then add crab and heat briefly without breaking lumps. Add half the sauce to the crab and fill shells evenly with crab mixture. Grate cheese on top of crab mixture.

Place in oven and bake for 5 minutes. Heat remaining sauce and spoon over the individual shells; garnish with whole tarragon sprigs.